112 citations
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q-fin.TR2014★ 76 cited
Modeling FX market activity around macroeconomic news: a Hawkes process approach
Marcello Rambaldi, Paris Pennesi, Fabrizio Lillo
We present a Hawkes model approach to foreign exchange market in which the high frequency price dynamics is affected by a self exciting mechanism and an exogenous component, genera…
q-fin.TR2009★ 5 cited
Dynamical Clustering of Exchange Rates
Daniel J. Fenn, Mason A. Porter, Peter J. Mucha +4
We use techniques from network science to study correlations in the foreign exchange (FX) market over the period 1991--2008. We consider an FX market network in which each node rep…